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Valuing local and dual-class IPOs in the Alternative Investment Market
Wahid, Abdul; Mumtaz, Muhammad Zubair; Mantell, Edmund H. - In: Estudios de economía 47 (2020) 2, pp. 245-271
seasoned equities. In this paper, we address the valuation of IPOs in the Alternative Investment Market, (hereafter the AIM ….) The purpose of this study is to determine the observable factors that affect valuation in the AIM. We apply OLS, LASSO … statistical sample consists of 2,185 IPOs issued on the AIM between 1995 and 2020. Our findings suggest that the market valuation …
Persistent link: https://www.econbiz.de/10012406031
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An examination of short-run performance of IPOs using Extreme Bounds Analysis
Mumtaz, Muhammad Zubair; Smith, Zachary A.; Ahmed, … - In: Estudios de Economía 43 (2016) 1, pp. 71-95
This paper estimates the short-run performance of IPOs issued on the Karachi Stock Exchange in Pakistan. The present study extends the existing literature concentrating on the degree of underpricing over a 3-month period lasting from the listing date to the 3-month anniversary showing...
Persistent link: https://www.econbiz.de/10011538777
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An examination of short-run performance of IPOs using Extreme Bounds Analysis
Mumtaz, Muhammad Zubair; Smith, Zachary A.; Ahmed, … - In: Estudios de economía 43 (2016) 1, pp. 71-95
This paper estimates the short-run performance of IPOs issued on the Karachi Stock Exchange in Pakistan. The present study extends the existing literature concentrating on the degree of underpricing over a 3-month period lasting from the listing date to the 3-month anniversary showing...
Persistent link: https://www.econbiz.de/10011504407
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Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2011
In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...
Persistent link: https://www.econbiz.de/10008855592
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US Corporate Bond Yield Spread: A default risk debate
SHAH, Syed Muhammad Noaman Ahmed; KEBEWAR, mazen - Volkswirtschaftliche Fakultät, … - 2013
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk factors. Current study empirically attempts to provide...
Persistent link: https://www.econbiz.de/10011112444
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On the random walk characteristics of stock returns in India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2009
An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...
Persistent link: https://www.econbiz.de/10011113811
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US Corporate Bond Yield Spread. A default risk debate
Shah, Syed Noaman; Kebewar, Mazen - Deutsche Zentralbibliothek für … - 2013
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk factors. Current study empirically attempts to provide...
Persistent link: https://www.econbiz.de/10010957801
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US Corporate Bond Yield Spread. A default risk debate
Shah, Syed Noaman; Kebewar, Mazen - 2013
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk factors. Current study empirically attempts to provide...
Persistent link: https://www.econbiz.de/10010312037
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Measuring causality between volatility and returns with high-frequency data
Dufour, Jean-Marie; García, René; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2008
We use high-frequency data to study the dynamic relationship between volatility and equity returns. We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. The leverage hypothesis asserts that...
Persistent link: https://www.econbiz.de/10008486971
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US corporate bond yield spread : a default risk debate
Shah, Syed Muhammad Noaman Ahmed; Kebewar, Mazen - 2013
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk factors. Current study empirically attempts to provide...
Persistent link: https://www.econbiz.de/10009743355